Surefire Report

Summary

[Summary] [Package List] [Test Cases]


Tests Errors Failures Skipped Success Rate Time
640 0 0 5 99.219% 1,477.49

Note: failures are anticipated and checked for with assertions while errors are unanticipated.


Package List

[Summary] [Package List] [Test Cases]


Package Tests Errors Failures Skipped Success Rate Time
398 0 0 4 98.995% 1,176.038
net.finmath.montecarlo.interestrate 12 0 0 0 100% 49.935
net.finmath.montecarlo.automaticdifferentiation 1 0 0 0 100% 1.031
net.finmath.rootfinder 1 0 0 0 100% 0.036
net.finmath.singleswaprate.calibration 5 0 0 0 100% 22.454
net.finmath.fouriermethod 8 0 0 0 100% 9.239
net.finmath.time.businessdaycalendar 5 0 0 0 100% 0.072
net.finmath.marketdata.products 3 0 0 0 100% 0.046
net.finmath.singleswaprate.products 9 0 0 0 100% 7.984
net.finmath.singleswaprate.annuitymapping 5 0 0 0 100% 0.296
net.finmath.montecarlo.hybridassetinterestrate 5 0 0 0 100% 61.54
net.finmath.fouriermethod.calibration 2 0 0 0 100% 3.182
net.finmath.time 34 0 0 0 100% 1.378
net.finmath.integration 10 0 0 0 100% 0.329
net.finmath.stochastic 20 0 0 0 100% 0.027
net.finmath.convexityadjustment 1 0 0 0 100% 0.443
net.finmath.modelling 1 0 0 0 100% 2.816
net.finmath.marketdata.model.curves.locallinearregression 2 0 0 0 100% 0.728
net.finmath.singleswaprate.model.volatilities 6 0 0 0 100% 0.517
net.finmath.optimizer 12 0 0 0 100% 0.497
net.finmath.montecarlo.automaticdifferentiation.backward 1 0 0 0 100% 0.028
net.finmath.randomnumbers 1 0 0 0 100% 1.258
net.finmath.montecarlo.interestrate.products.components 2 0 0 0 100% 14.329
net.finmath.marketdata.model.curves 6 0 0 0 100% 1.493
net.finmath.time.daycount 3 0 0 0 100% 0.084
net.finmath.fouriermethod.products 1 0 0 0 100% 0.084
net.finmath.information 2 0 0 0 100% 0.017
net.finmath.montecarlo.interestrate.products 11 0 0 0 100% 17.17
net.finmath.modelling.descriptor 6 0 0 0 100% 68.156
net.finmath.montecarlo.assetderivativevaluation 15 0 0 1 93.333% 14.707
net.finmath.montecarlo.interestrate.modelplugins 1 0 0 0 100% 0.562
net.finmath.montecarlo.assetderivativevaluation.products 2 0 0 0 100% 3.15
net.finmath.marketdata.model.volatilities 6 0 0 0 100% 0.251
net.finmath.modelling.productfactory 2 0 0 0 100% 2.811
net.finmath.finitedifference 4 0 0 0 100% 2.083
net.finmath.montecarlo 2 0 0 0 100% 7.685
net.finmath.marketdata.model.cds 1 0 0 0 100% 0.169
net.finmath.singleswaprate.data 1 0 0 0 100% 0.136
net.finmath.analytic.model.curves.test 1 0 0 0 100% 0.642
net.finmath.interpolation 1 0 0 0 100% 0.089
net.finmath.functions 31 0 0 0 100% 3.998

Note: package statistics are not computed recursively, they only sum up all of its testsuites numbers.

Class Tests Errors Failures Skipped Success Rate Time
BrownianMotionTest 20 0 0 0 100% 100.69
RandomVariableDifferentiableTypePriorityTest 16 0 0 0 100% 0.041
RandomVariableDifferentiableArithmeticTest 20 0 0 0 100% 0.03
CalibrationTest 12 0 0 0 100% 0.236
LIBORMarketModelNormalAADSensitivitiesTest 15 0 0 0 100% 100.242
LIBORMarketModelCalibrationTest 3 0 0 0 100% 236.312
FIPXMLParserTest 1 0 0 0 100% 0.05
RandomVariableDifferentiableTest 52 0 0 0 100% 32.119
LIBORMarketModelCalibrationAADTest 2 0 0 0 100% 105.927
LIBORMarketModelInterpolationTest 3 0 0 0 100% 17.872
FPMLParserTest 1 0 0 0 100% 0.094
MonteCarloBlackScholesModelSensitivitiesTest 3 0 0 0 100% 1.858
LIBORIndexMultiCurveTest 6 0 0 0 100% 32.51
SimpleCappedFlooredFloatingRateBondTest 2 0 0 0 100% 6.395
BachelierModelMonteCarloValuationTest 24 0 0 4 83.333% 3.576
DeltaHedgedPortfolioWithAADTest 2 0 0 0 100% 20.808
BlackScholesMonteCarloValuationTest 24 0 0 0 100% 6.189
LIBORIndexTest 60 0 0 0 100% 114.173
RandomVariableDifferentiableAADPerformanceTest 18 0 0 0 100% 106.599
CapletVolatilitiesParametricCalibrationTest 2 0 0 0 100% 117.248
HestonModelCallOptionTest 2 0 0 0 100% 0.214
RandomVariableTest 45 0 0 0 100% 29.793
HestonModelTest 2 0 0 0 100% 3.487
DisplacedLognomalModelTest 3 0 0 0 100% 0.578
LIBORMarketModelMultiCurveValuationTest 14 0 0 0 100% 71.065
CalibrationTest 6 0 0 0 100% 0.208
LIBORMarketModelValuationTest 40 0 0 0 100% 67.724

net.finmath.montecarlo.interestrate

Class Tests Errors Failures Skipped Success Rate Time
CapValuationTest 1 0 0 0 100% 3.516
LIBORMarketModelCalibrationSmileTest 1 0 0 0 100% 35.063
HullWhiteModelTest 9 0 0 0 100% 10.506
HullWhiteModelCalibrationTest 1 0 0 0 100% 0.85

net.finmath.montecarlo.automaticdifferentiation

Class Tests Errors Failures Skipped Success Rate Time
MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest 1 0 0 0 100% 1.031

net.finmath.rootfinder

Class Tests Errors Failures Skipped Success Rate Time
RootFindersTest 1 0 0 0 100% 0.036

net.finmath.singleswaprate.calibration

Class Tests Errors Failures Skipped Success Rate Time
SABRCubeParallelCalibrationTest 1 0 0 0 100% 4.91
StaticCubeCalibrationTest 1 0 0 0 100% 2.286
SABRCubeCalibrationTest 1 0 0 0 100% 13.485
SABRShiftedSmileCalibrationTest 2 0 0 0 100% 1.773

net.finmath.fouriermethod

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesCallOptionTest 2 0 0 0 100% 0.108
VarianceGammaCallOptionTest 3 0 0 0 100% 5.693
MertonJumpDiffusionCallOptionTest 3 0 0 0 100% 3.438

net.finmath.time.businessdaycalendar

Class Tests Errors Failures Skipped Success Rate Time
BusinessdayCalendarTest 5 0 0 0 100% 0.072

net.finmath.marketdata.products

Class Tests Errors Failures Skipped Success Rate Time
DepositTest 3 0 0 0 100% 0.046

net.finmath.singleswaprate.products

Class Tests Errors Failures Skipped Success Rate Time
CashSettledSwaptionTest 3 0 0 0 100% 3.127
ConstantMaturitySwapTest 3 0 0 0 100% 4.436
AnnuityDummyTest 3 0 0 0 100% 0.421

net.finmath.singleswaprate.annuitymapping

Class Tests Errors Failures Skipped Success Rate Time
NormalizingFunctionTest 1 0 0 0 100% 0.146
AnnuityMappingTest 4 0 0 0 100% 0.15

net.finmath.montecarlo.hybridassetinterestrate

Class Tests Errors Failures Skipped Success Rate Time
HybridAssetLIBORModelMonteCarloSimulationFromModelsTest 1 0 0 0 100% 1.792
CrossCurrencyLIBORMarketModelFromModelsTest 4 0 0 0 100% 59.748

net.finmath.fouriermethod.calibration

Class Tests Errors Failures Skipped Success Rate Time
HestonDaxCalibrationTest 1 0 0 0 100% 1.882
VarianceGammaDaxCalibrationTest 1 0 0 0 100% 1.3

net.finmath.time

Class Tests Errors Failures Skipped Success Rate Time
DayCountConventionTest 8 0 0 0 100% 0.028
ScheduleGeneratorTest 3 0 0 0 100% 0.074
FloatingpointDateTest 3 0 0 0 100% 1.228
TimeDiscretizationTest 20 0 0 0 100% 0.048

net.finmath.integration

Class Tests Errors Failures Skipped Success Rate Time
PiecewiseContantDoubleUnaryOperatorTest 5 0 0 0 100% 0.017
TrapezoidalRealIntegratorTest 1 0 0 0 100% 0.02
SimpsonRealIntegratorTest 2 0 0 0 100% 0.045
MonteCarloIntegratorTest 2 0 0 0 100% 0.247

net.finmath.stochastic

Class Tests Errors Failures Skipped Success Rate Time
ScalarTest 20 0 0 0 100% 0.027

net.finmath.convexityadjustment

Class Tests Errors Failures Skipped Success Rate Time
CMSOptionTest 1 0 0 0 100% 0.443

net.finmath.modelling

Class Tests Errors Failures Skipped Success Rate Time
LIBORMarketModelHierarchyTest 1 0 0 0 100% 2.816

net.finmath.marketdata.model.curves.locallinearregression

Class Tests Errors Failures Skipped Success Rate Time
CurveEstimationTest 2 0 0 0 100% 0.728

net.finmath.singleswaprate.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
SABRVolatilityCubeSharedParametersTest 2 0 0 0 100% 0.209
SABRVolatilityCubeTest 4 0 0 0 100% 0.308

net.finmath.optimizer

Class Tests Errors Failures Skipped Success Rate Time
StochasticLevenbergMarquardtTest 2 0 0 0 100% 0.154
LevenbergMarquardtTest 6 0 0 0 100% 0.102
OptimizerFactoryTest 2 0 0 0 100% 0.137
StochasticPathwiseLevenbergMarquardtTest 2 0 0 0 100% 0.104

net.finmath.montecarlo.automaticdifferentiation.backward

Class Tests Errors Failures Skipped Success Rate Time
RandomVariableDifferentiableAADTest 1 0 0 0 100% 0.028

net.finmath.randomnumbers

Class Tests Errors Failures Skipped Success Rate Time
AcceptanceRejectionRandomNumberGeneratorTest 1 0 0 0 100% 1.258

net.finmath.montecarlo.interestrate.products.components

Class Tests Errors Failures Skipped Success Rate Time
ExposureTest 2 0 0 0 100% 14.329

net.finmath.marketdata.model.curves

Class Tests Errors Failures Skipped Success Rate Time
CalibrationMultiCurveTest 1 0 0 0 100% 1.153
CurveTest 1 0 0 0 100% 0.078
DiscountCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.017
DiscountCurveSerializationTest 1 0 0 0 100% 0.05
NelsonSiegelSvenssonCalibrationTest 1 0 0 0 100% 0.176
ForwardCurveNelsonSiegelSvenssonTest 1 0 0 0 100% 0.019

net.finmath.time.daycount

Class Tests Errors Failures Skipped Success Rate Time
DayCountConvention_30E_360Test 1 0 0 0 100% 0.04
DayCountConvention_30E_360_ISDATest 2 0 0 0 100% 0.044

net.finmath.fouriermethod.products

Class Tests Errors Failures Skipped Success Rate Time
TestCarrMadan 1 0 0 0 100% 0.084

net.finmath.information

Class Tests Errors Failures Skipped Success Rate Time
LibraryTest 2 0 0 0 100% 0.017

net.finmath.montecarlo.interestrate.products

Class Tests Errors Failures Skipped Success Rate Time
SwaptionAnalyticApproximationTest 2 0 0 0 100% 2.595
SwapLegTest 5 0 0 0 100% 8.031
SwaptionNormalTest 1 0 0 0 100% 2.421
InterestRateProductTest 3 0 0 0 100% 4.123

net.finmath.modelling.descriptor

Class Tests Errors Failures Skipped Success Rate Time
MertonModelDescriptorTest 1 0 0 0 100% 18.155
InterestRateSwapLegDescriptorTest 2 0 0 0 100% 4.063
VarianceGammaModelDescriptorTest 1 0 0 0 100% 42.725
AssetBlackScholesModelDescriptorTest 1 0 0 0 100% 1.626
HestonModelDescriptorTest 1 0 0 0 100% 1.587

net.finmath.montecarlo.assetderivativevaluation

Class Tests Errors Failures Skipped Success Rate Time
InhomogenousBachelierModelMonteCarloValuationTest 6 0 0 1 83.333% 1.175
MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest 2 0 0 0 100% 6.122
VarianceGammaModelTest 1 0 0 0 100% 2.908
MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest 1 0 0 0 100% 0.179
MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest 1 0 0 0 100% 0.361
MonteCarloBlackScholesModelTest 2 0 0 0 100% 0.135
MonteCarloBlackScholesModelAsianOptionSensitivitiesTest 1 0 0 0 100% 0.182
MertonModelTest 1 0 0 0 100% 3.645

net.finmath.montecarlo.interestrate.modelplugins

Class Tests Errors Failures Skipped Success Rate Time
LIBORVolatilityModelFourParameterExponentialFormIntegratedTest 1 0 0 0 100% 0.562

net.finmath.montecarlo.assetderivativevaluation.products

Class Tests Errors Failures Skipped Success Rate Time
BlackScholesDeltaHedgedPortfolioTest 1 0 0 0 100% 2.183
EuropeanOptionVegaPathwiseTest 1 0 0 0 100% 0.967

net.finmath.marketdata.model.volatilities

Class Tests Errors Failures Skipped Success Rate Time
CapletVolatilitiesTest 1 0 0 0 100% 0.096
CapletVolatilitiesParametricTest 5 0 0 0 100% 0.155

net.finmath.modelling.productfactory

Class Tests Errors Failures Skipped Success Rate Time
ModelWithProductFactoryTest 2 0 0 0 100% 2.811

net.finmath.finitedifference

Class Tests Errors Failures Skipped Success Rate Time
ConstantElasticityOfVarianceThetaTest 2 0 0 0 100% 1.625
BlackScholesThetaTest 2 0 0 0 100% 0.458

net.finmath.montecarlo

Class Tests Errors Failures Skipped Success Rate Time
GammaProcessTest 1 0 0 0 100% 6.038
VarianceGammaTest 1 0 0 0 100% 1.647

net.finmath.marketdata.model.cds

Class Tests Errors Failures Skipped Success Rate Time
CDSTest 1 0 0 0 100% 0.169

net.finmath.singleswaprate.data

Class Tests Errors Failures Skipped Success Rate Time
DataTablesTest 1 0 0 0 100% 0.136

net.finmath.analytic.model.curves.test

Class Tests Errors Failures Skipped Success Rate Time
TestCurvesFromLIBORModel 1 0 0 0 100% 0.642

net.finmath.interpolation

Class Tests Errors Failures Skipped Success Rate Time
BiLinearInterpolationTest 1 0 0 0 100% 0.089

net.finmath.functions

Class Tests Errors Failures Skipped Success Rate Time
NormalDistributionTest 2 0 0 0 100% 0.1
JarqueBeraTestTest 1 0 0 0 100% 0.057
LinearAlgebraTest 3 0 0 0 100% 0.04
BachelierModelTest 8 0 0 0 100% 0.138
BarrierOptionsTest 8 0 0 0 100% 0.064
AnalyticFormulasTest 9 0 0 0 100% 3.599

Test Cases

[Summary] [Package List] [Test Cases]

PiecewiseContantDoubleUnaryOperatorTest

testExceptions 0.006
testIntegralErrorCorrection 0.001
testValuation 0
testIntegralOfSquares 0.001
testIntegral 0

CapValuationTest

testCap 3.509

NormalDistributionTest

testCumulativeDistribution 0.055
testInverseCumulativeDistribution 0.037

InhomogenousBachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 0
skipped
testModelRandomVariable 0.166
testEuropeanCallVega 0.468
testEuropeanCallDelta 0.39
testEuropeanCall 0.075
testModelProperties 0.064

MertonModelDescriptorTest

test 18.148

DayCountConvention_30E_360Test

test 0.032

JarqueBeraTestTest

test 0.049

BrownianMotionTest

testBrownianIncrementSquaredDrift 3.713
testBrownianIncrementSquaredDrift 3.455
testBrownianIncrementSquaredDrift 3.573
testBrownianIncrementSquaredDrift 3.469
testSerialization 0.043
testSerialization 0.031
testSerialization 0.031
testSerialization 0.035
testScalarValuedBrownianMotionTerminalDistribution 5.423
testScalarValuedBrownianMotionTerminalDistribution 5.435
testScalarValuedBrownianMotionTerminalDistribution 5.251
testScalarValuedBrownianMotionTerminalDistribution 5.601
testScalarValuedBrownianMotionWithJarqueBeraTest 2.613
testScalarValuedBrownianMotionWithJarqueBeraTest 3.243
testScalarValuedBrownianMotionWithJarqueBeraTest 2.594
testScalarValuedBrownianMotionWithJarqueBeraTest 2.56
testDensity 13.376
testDensity 13.425
testDensity 13.278
testDensity 13.541

RandomVariableDifferentiableTypePriorityTest

testTypePriorityAdd 0.025
testTypePriorityAdd 0.001
testTypePriorityAdd 0.007
testTypePriorityAdd 0
testTypePriorityCap 0.002
testTypePriorityCap 0.001
testTypePriorityCap 0
testTypePriorityCap 0
testTypePriorityMult 0.001
testTypePriorityMult 0
testTypePriorityMult 0.001
testTypePriorityMult 0
testTypePriorityFloor 0.002
testTypePriorityFloor 0
testTypePriorityFloor 0
testTypePriorityFloor 0.001

RandomVariableDifferentiableArithmeticTest

testArithmeticExpLog 0.015
testArithmeticExpLog 0
testArithmeticExpLog 0.008
testArithmeticExpLog 0
testArithmeticSqrtMultSqrt 0.001
testArithmeticSqrtMultSqrt 0
testArithmeticSqrtMultSqrt 0
testArithmeticSqrtMultSqrt 0
testArithmeticSqrtSquared 0.001
testArithmeticSqrtSquared 0.001
testArithmeticSqrtSquared 0
testArithmeticSqrtSquared 0.001
testArithmeticDivSelf 0.001
testArithmeticDivSelf 0
testArithmeticDivSelf 0
testArithmeticDivSelf 0
testArithmeticSubSelf 0.001
testArithmeticSubSelf 0.001
testArithmeticSubSelf 0
testArithmeticSubSelf 0

SwaptionAnalyticApproximationTest

testMultiCurveModel 1.431
testSingleCurveModel 1.156

CalibrationTest

testCurvesAndCalibration 0.158
testCurvesAndCalibration 0.025
testCurvesAndCalibration 0.01
testCurvesAndCalibration 0.011
testCurvesAndCalibration 0.012
testCurvesAndCalibration 0.012
testForwardCurveFromDiscountCurve 0.003
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0.001

GammaProcessTest

testScaling 6.029

LIBORMarketModelNormalAADSensitivitiesTest

testDelta 5.435
testDelta 5.522
testDelta 6.944
testDelta 7.467
testDelta 10.259
testVega 5.65
testVega 5.822
testVega 7.188
testVega 7.923
testVega 11.913
testGenericDelta 3.341
testGenericDelta 3.79
testGenericDelta 4.61
testGenericDelta 5.695
testGenericDelta 8.683

CurveEstimationTest

testRegressionMatrix 0.706
testLinearInterpolation 0.012

LIBORMarketModelCalibrationTest

testATMSwaptionCalibration 69.833
testATMSwaptionCalibration 7.092
testATMSwaptionCalibration 159.387

ScalarTest

testAbs 0.005
testAdd 0
testCap 0
testDiv 0
testSub 0.001
testSubRatio 0.004
testFloor 0.002
testIsNaN 0
testMult 0
testSqrt 0
testArrayOf 0
testAddRatio 0
testGetAverage 0
testAddProduct 0.001
testDiscount 0
testAccrue 0.001
testChoose 0
testEquals 0
testInvert 0.001
testSquared 0

MonteCarloBlackScholesModelDigitalOptionSensitivitiesTest

testSensitivities 3.103
testProductAADSensitivities 3.01

RandomVariableDifferentiableAADTest

testSecondOrderDerivative 0.019

HestonDaxCalibrationTest

test 1.874

SwapLegTest

testFloatLeg 2.406
testCMSSpreadLeg 1.622
testFixLeg 1.266
testLIBORInArrearsFloatLeg 1.305
testCMSFloatLeg 1.421

FIPXMLParserTest

testGetSwapProductDescriptor 0.05

RandomVariableDifferentiableTest

testRandomVariableExpectation 0.117
testRandomVariableExpectation 0.01
testRandomVariableExpectation 0.012
testRandomVariableExpectation 0.01
testRandomVariableSimpleGradient2 0.001
testRandomVariableSimpleGradient2 0.002
testRandomVariableSimpleGradient2 0
testRandomVariableSimpleGradient2 0.001
testRandomVariableSimpleGradient 0
testRandomVariableSimpleGradient 0.001
testRandomVariableSimpleGradient 0.001
testRandomVariableSimpleGradient 0
testRandomVariableGradientBiggerSum 2.314
testRandomVariableGradientBiggerSum 1.048
testRandomVariableGradientBiggerSum 2.181
testRandomVariableGradientBiggerSum 1.049
testRandomVariableGradientBigSumWithConstants 0.242
testRandomVariableGradientBigSumWithConstants 0.158
testRandomVariableGradientBigSumWithConstants 0.097
testRandomVariableGradientBigSumWithConstants 0.063
testRandomVariableArithmeticSqrtPow 0.001
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0.001
testRandomVariableArithmeticSqrtPow 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0.001
testRandomVariableGradientBigSum2 0.044
testRandomVariableGradientBigSum2 0.025
testRandomVariableGradientBigSum2 0.039
testRandomVariableGradientBigSum2 0.02
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0
testRandomVariableGradientBigSum 0.109
testRandomVariableGradientBigSum 0.056
testRandomVariableGradientBigSum 0.123
testRandomVariableGradientBigSum 0.051
testRandomVariableStochastic 0
testRandomVariableStochastic 0
testRandomVariableStochastic 0
testRandomVariableStochastic 0
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 6.032
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 6.114
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 5.873
testRandomVariableDifferentiableInterfaceVsFiniteDifferences 6.323
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0

LIBORMarketModelCalibrationAADTest

testATMSwaptionCalibration 40.638
testATMSwaptionCalibration 65.289

TrapezoidalRealIntegratorTest

test 0.012

LIBORMarketModelInterpolationTest

testInterpolatedLastLIBOR 6.718
testInterpolatedLastLIBOR 5.303
testInterpolatedLastLIBOR 5.851

ExposureTest

testExpectedPositiveExposure 8.006
testAgainstSwaption 6.314

VarianceGammaModelTest

test 2.899

RootFindersTest

testRootFinders 0.028

CashSettledSwaptionTest

a_testSimplifiedLinear 0.566
b_testBasicPiterbarg 1.288
c_testMultiPiterbarg 1.192

FPMLParserTest

testGetSwapProductDescriptor 0.094

MonteCarloBlackScholesModelEuropeanOptionSensitivitiesTest

testProductAADSensitivities 0.169

BusinessdayCalendarTest

testNycCalendar 0.043
testCreateDateFromDateAndOffsetCode 0.015
testCombinedCalendar 0.006
testTargetCalendar 0.001
testLondonCalendar 0

BlackScholesDeltaHedgedPortfolioTest

testHedgePerformance 2.175

DepositTest

testRateValueConsistency 0.027
testEvaluationTime 0.005
testDepositValue 0.003

InterestRateSwapLegDescriptorTest

testFloatLeg 2.466
testFixLeg 1.586

HybridAssetLIBORModelMonteCarloSimulationFromModelsTest

test 1.785

VarianceGammaModelDescriptorTest

test 42.717

NormalizingFunctionTest

testExpectation 0.053

ConstantMaturitySwapTest

testSimplifiedLinear 0.701
testBasicPiterbarg 1.846
testMultiPiterbarg 1.823

AnnuityDummyTest

testSimplified 0.205
testBasic 0.087
testMulti 0.064

SABRCubeParallelCalibrationTest

testCalibration 4.902

StaticCubeCalibrationTest

testStaticCubeCalibration 2.278

StochasticLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.086
test 0.057

AcceptanceRejectionRandomNumberGeneratorTest

test 1.251

DayCountConventionTest

testDayCountConvention_30E_360 0.005
testDayCountConvention_ACT_360 0.002
testDayCountConvention_ACT_365 0.001
testDayCountConventionAdditivity_ACT_ACT_ICMA 0.002
testDayCountConventionAdditivity_ACT_ACT_ISDA 0.001
testDayCountConventionConsistency_ACT_ACT_ICMA_versus_ACT_ACT_ISDA 0
testDayCountConvention_ACT_ACT_ISDA 0.004
testDayCountConvention_ACT_ACT_YEARFRAC 0.003

MonteCarloBlackScholesModelBermudanOptionSensitivitiesTest

testProductAADSensitivities 0.354

MonteCarloBlackScholesModelSensitivitiesTest

testProductAADSensitivities 0.619
testProductAADSensitivities 0.46
testProductAADSensitivities 0.779

LIBORIndexMultiCurveTest

testFRAMonteCarloVersusAnalytic 3.478
testFRAMonteCarloVersusAnalytic 4.304
testFRAMonteCarloVersusAnalytic 9.69
testFRAMonteCarloVersusAnalytic 2.292
testFRAMonteCarloVersusAnalytic 3.768
testFRAMonteCarloVersusAnalytic 8.978

LevenbergMarquardtTest

testMultiThreaddedOptimizer 0.059
testBoothFunctionWithAnalyticDerivative 0.015
testRosenbrockFunctionWithList 0.006
testBoothFunction 0.005
testRosenbrockFunction 0.004
testSmallLinearSystem 0.003

CDSTest

testCDS 0.162

LinearAlgebraTest

testSolveLinearEquationLeastSquarePseudoInverse2 0.032
testSolveLinearEquationLeastSquarePseudoInverse3 0
testSolveLinearEquationLeastSquarePseudoInverse 0.001

SimpleCappedFlooredFloatingRateBondTest

test 3.655
test 2.74

CrossCurrencyLIBORMarketModelFromModelsTest

testForeignBond 19.106
testProperties 8.508
testForeignCaplet 16.023
testForeignFRA 16.095

TestCarrMadan

test 0.077

OptimizerFactoryTest

testRosenbrockFunctionWithCMAES 0.116
testRosenbrockFunctionWithLevenbergMarquard 0.013

AnnuityMappingTest

a_testMappings 0.005
b_testSeq 0.016
c_testFirstDerivative 0.003
d_testSecondDerivative 0.002

MonteCarloBlackScholesModelTest

testDirectValuation 0.099
testProductImplementation 0.025

BachelierModelMonteCarloValuationTest

testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testEuropeanAsianBermudanOption 0
skipped
testModelRandomVariable 0.16
testModelRandomVariable 0.084
testModelRandomVariable 0.047
testModelRandomVariable 0.048
testEuropeanCallVega 0.464
testEuropeanCallVega 0.389
testEuropeanCallVega 0.324
testEuropeanCallVega 0.319
testEuropeanCallDelta 0.354
testEuropeanCallDelta 0.208
testEuropeanCallDelta 0.338
testEuropeanCallDelta 0.312
testEuropeanCall 0.071
testEuropeanCall 0.052
testEuropeanCall 0.063
testEuropeanCall 0.062
testModelProperties 0.072
testModelProperties 0.068
testModelProperties 0.074
testModelProperties 0.067

ScheduleGeneratorTest

testPeriodLength 0.06
testPeriodStartPeriodEnd 0.001
testScheduleGeneratorMetaData 0.004

BiLinearInterpolationTest

test 0.08

CapletVolatilitiesTest

testConversions 0.089

VarianceGammaDaxCalibrationTest

test 1.291

CalibrationMultiCurveTest

testMultiCurveCalibration 1.145

DayCountConvention_30E_360_ISDATest

testAssumingEndDateIsATerminationDate 0.035
testAssumingEndDateIsNotATerminationDate 0.001

CMSOptionTest

testCMSOption 0.436

DeltaHedgedPortfolioWithAADTest

testHedgePerformance 10.957
testHedgePerformance 9.851

BlackScholesCallOptionTest

test 0.086
testDigitalOption 0.014

BachelierModelTest

testInhomogeneousImpliedVolatility 0.082
testHomogeneousRandomVariableImplementations 0.003
testDelta 0.021
testVega 0.002
testInhomogeneousRandomVariableImplementations 0.001
testInhomogenousDelta 0.003
testInhomogenousVega 0.002
testImpliedVolatility 0.014

SwaptionNormalTest

testSwaption 2.412

LIBORMarketModelCalibrationSmileTest

testSwaptionSmileCalibration 35.055

LIBORVolatilityModelFourParameterExponentialFormIntegratedTest

test 0.553

CurveTest

testCurveFitting 0.068

MonteCarloBlackScholesModelDigitalOptionAADRegressionSensitivitiesTest

test 1.023

BlackScholesMonteCarloValuationTest

testEuropeanAsianBermudanOption 1.082
testEuropeanAsianBermudanOption 0.958
testEuropeanAsianBermudanOption 0.871
testEuropeanAsianBermudanOption 0.87
testModelRandomVariable 0.034
testModelRandomVariable 0.023
testModelRandomVariable 0.014
testModelRandomVariable 0.016
testEuropeanCallVega 0.249
testEuropeanCallVega 0.343
testEuropeanCallVega 0.207
testEuropeanCallVega 0.185
testEuropeanCallDelta 0.312
testEuropeanCallDelta 0.406
testEuropeanCallDelta 0.228
testEuropeanCallDelta 0.224
testEuropeanCall 0.023
testEuropeanCall 0.021
testEuropeanCall 0.019
testEuropeanCall 0.018
testModelProperties 0.017
testModelProperties 0.023
testModelProperties 0.019
testModelProperties 0.027

StochasticPathwiseLevenbergMarquardtTest

testBoothFunctionWithAnalyticDerivative 0.081
test 0.012

SABRCubeCalibrationTest

testSABRCubeCalibration 13.477

LIBORIndexTest

testSinglePeriods 0.29
testSinglePeriods 0.12
testSinglePeriods 0.202
testSinglePeriods 0.295
testSinglePeriods 0.301
testSinglePeriods 0.77
testSinglePeriods 1.514
testSinglePeriods 3.101
testSinglePeriods 3.761
testSinglePeriods 9.854
testSinglePeriods 0.131
testSinglePeriods 0.195
testSinglePeriods 0.199
testSinglePeriods 0.343
testSinglePeriods 0.311
testSinglePeriods 0.62
testSinglePeriods 1.36
testSinglePeriods 2.96
testSinglePeriods 3.956
testSinglePeriods 8.876
testMultiPeriodFloater 0.08
testMultiPeriodFloater 0.094
testMultiPeriodFloater 0.168
testMultiPeriodFloater 0.592
testMultiPeriodFloater 0.308
testMultiPeriodFloater 0.67
testMultiPeriodFloater 1.462
testMultiPeriodFloater 3.108
testMultiPeriodFloater 3.696
testMultiPeriodFloater 8.803
testMultiPeriodFloater 0.101
testMultiPeriodFloater 0.215
testMultiPeriodFloater 0.153
testMultiPeriodFloater 0.236
testMultiPeriodFloater 0.309
testMultiPeriodFloater 0.613
testMultiPeriodFloater 1.331
testMultiPeriodFloater 2.943
testMultiPeriodFloater 3.755
testMultiPeriodFloater 8.808
testUnalignedPeriods 0.069
testUnalignedPeriods 0.1
testUnalignedPeriods 0.289
testUnalignedPeriods 0.233
testUnalignedPeriods 0.28
testUnalignedPeriods 0.831
testUnalignedPeriods 1.476
testUnalignedPeriods 2.961
testUnalignedPeriods 3.713
testUnalignedPeriods 8.99
testUnalignedPeriods 0.1
testUnalignedPeriods 0.198
testUnalignedPeriods 0.181
testUnalignedPeriods 0.224
testUnalignedPeriods 0.27
testUnalignedPeriods 0.61
testUnalignedPeriods 1.463
testUnalignedPeriods 2.977
testUnalignedPeriods 3.641
testUnalignedPeriods 8.963

MonteCarloBlackScholesModelAsianOptionSensitivitiesTest

testProductAADSensitivities 0.173

HullWhiteModelTest

testBermudanSwaption 2.854
testZeroCMSSwap 2.098
testBond 0.445
testSwap 3.182
testSwaption 0.569
testCaplet 0.515
testCapletSmile 0.423
testLIBORInArrearsFloatLeg 0.011
testPutOnMoneyMarketAccount 0.399

RandomVariableDifferentiableAADPerformanceTest

test 1.609
test 1.319
test 2.137
test 1.933
test 1.201
test 1.127
test 2.95
test 1.144
test 2.331
test 1.118
test 1.666
test 1.131
test 21.23
test 5.305
test 22.837
test 7.525
test 23.654
test 6.382

MertonModelTest

test 3.638

CapletVolatilitiesParametricCalibrationTest

testVolatilityCalibration 44.378
testVolatilityCalibration 72.87

ModelWithProductFactoryTest

bsTest 1.39
hTest 1.413

DiscountCurveNelsonSiegelSvenssonTest

test 0.008

SimpsonRealIntegratorTest

testCos 0.035
testCubic 0.002

CapletVolatilitiesParametricTest

testIntegratedFourParameterExponentialVolatilityParamSet1 0.101
testDecayVolatility 0
testIntegratedFourParameterExponentialVolatilityParamSetCZero 0.044
testFlatVolatilityUsingA 0
testFlatVolatilityUsingD 0

DataTablesTest

testTables 0.123

HestonModelCallOptionTest

test 0.149
test 0.065

FloatingpointDateTest

testLocalDateTime 1.212
test 0.005
testLocalDateLocalDateTimeConsistency 0.003

RandomVariableTest

testAdd 0.007
testAdd 0.001
testAdd 0.017
testAdd 0.004
testAdd 0.004
testCap 0.001
testCap 0
testCap 0.001
testCap 0.002
testCap 0
testFloor 0
testFloor 0
testFloor 0
testFloor 0
testFloor 0
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0
testRandomVariableArithmeticSqrtPow 0.002
testRandomVariableArithmeticSqrtPow 0.001
testRandomVariableArithmeticSqrtPow 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0
testRandomVariableStandardDeviation 0.001
testGetQuantile 6.303
testGetQuantile 5.873
testGetQuantile 5.913
testGetQuantile 5.892
testGetQuantile 5.761
testRandomVariableArithmeticSquaredPow 0.001
testRandomVariableArithmeticSquaredPow 0.001
testRandomVariableArithmeticSquaredPow 0.001
testRandomVariableArithmeticSquaredPow 0
testRandomVariableArithmeticSquaredPow 0.001
testRandomVariableStochastic 0
testRandomVariableStochastic 0
testRandomVariableStochastic 0.002
testRandomVariableStochastic 0
testRandomVariableStochastic 0
testRandomVariableDeterministc 0.001
testRandomVariableDeterministc 0.001
testRandomVariableDeterministc 0.002
testRandomVariableDeterministc 0
testRandomVariableDeterministc 0

HestonModelTest

test 1.949
test 1.538

LibraryTest

testVersionString 0.006
testBuildString 0

DisplacedLognomalModelTest

testProductImplementation 0.324
testProductImplementation 0.125
testProductImplementation 0.129

InterestRateProductTest

testBond 1.618
testSwap 1.327
testSwaption 1.17

DiscountCurveSerializationTest

test 0.043

AssetBlackScholesModelDescriptorTest

test 1.618

BarrierOptionsTest

testDownAndInCall 0.046
testDownAndOutPut 0.001
testDownAndInPut 0.001
testUpAndInPut 0.001
testUpAndInCall 0.001
testUpAndOutPut 0.001
testUpAndOutCall 0.001
testDownAndOutCall 0.001

LIBORMarketModelHierarchyTest

testModelHierarchy 2.804

SABRVolatilityCubeSharedParametersTest

a_cubeATM 0.026
b_strikeSlices 0.02

VarianceGammaCallOptionTest

testMartingalePropertyMonteCarlo 2.875
test 2.81
testMartingaleProperty 0.001

NelsonSiegelSvenssonCalibrationTest

testCalibration 0.168

ForwardCurveNelsonSiegelSvenssonTest

test 0.011

LIBORMarketModelMultiCurveValuationTest

testBond 4.658
testBond 3.015
testSwap 3.482
testSwap 3.401
testSwaptionSmile 3.127
testSwaptionSmile 3.133
testSwaption 3.147
testSwaption 3.387
testDigitalCaplet 3.311
testDigitalCaplet 3.251
testCaplet 3.085
testCaplet 3.185
testSwaptionCalibration 16.003
testSwaptionCalibration 14.88

MertonJumpDiffusionCallOptionTest

testMartingalePropertyMonteCarlo 1.523
test 1.906
testMartingaleProperty 0

EuropeanOptionVegaPathwiseTest

test 0.961

CalibrationTest

testCurvesAndCalibration 0.178
testCurvesAndCalibration 0.013
testCurvesAndCalibration 0.012
testForwardCurveFromDiscountCurve 0.004
testForwardCurveFromDiscountCurve 0.001
testForwardCurveFromDiscountCurve 0

AnalyticFormulasTest

testSABRSkewApproximation 0.007
testBlackScholesPutCallParityATM 0.024
testVolatilityConversionLognormalToNormal 0.004
testBachelierOptionImpliedVolatility 0.81
testBlackScholesNegativeForward 0
testSABRCurvatureApproximation 0.001
testBachelierRiskNeutralProbabilities 0.026
testSABRCalibration 2.691
testBachelierOptionDelta 0.027

ConstantElasticityOfVarianceThetaTest

testEuropeanCallOption 0.961
testEuropeanPutOption 0.657

MonteCarloIntegratorTest

testCos 0.17
testCubic 0.069

HestonModelDescriptorTest

test 1.577

TimeDiscretizationTest

constructWithNumberOfStepsSmallerThanTickSize 0.02
constructWithSetAtDefaultTickSize 0.002
constructWithBoxedArrayAtSmallTickSize 0
testUnionWithSubTickDuplicates 0.001
testIntersectionWithNoDuplicates 0
constructWithUnboxedArrayAtDefaultTickSize 0
constructWithIntervalShortStubAtFront 0.001
constructWithIntervalShortStubAtEnd 0.001
constructWithNumberOfSteps 0.001
constructWithSetAtSmallTickSize 0
constructWithArrayListAtBigTickSize 0
constructWithBoxedArrayAtBigTickSize 0.001
constructWithSetAtBigTickSize 0
testIntersectionWithSubTickDuplicates 0.001
testIntersectionWithDifferentTickSizes 0.001
constructWithBoxedArrayAtDefaultTickSize 0.001
constructWithArrayListAtSmallTickSize 0
testUnionWithNoDuplicates 0.001
testUnionWithDifferentTickSizes 0.001
constructWithArrayListAtDefaultTickSize 0

SABRVolatilityCubeTest

a_cubeATM 0.031
b_strikeSlices 0.023
c_testAccessPerformance 0.089
d_testAccessPerformanceOnNodes 0.022

HullWhiteModelCalibrationTest

testATMSwaptionCalibration 0.841

BlackScholesThetaTest

testEuropeanCallOption 0.3
testEuropeanPutOption 0.15

SABRShiftedSmileCalibrationTest

testCalibration 1.662
testSingleSmile 0.047

TestCurvesFromLIBORModel

testStochasticCurves 0.634

LIBORMarketModelValuationTest

testFRA 3.123
testFRA 1.714
testFRA 2.251
testFRA 2.05
testBond 1.936
testBond 1.641
testBond 2.242
testBond 3.786
testSwap 1.532
testSwap 1.579
testSwap 2.324
testSwap 2.46
testSwaptionSmile 1.468
testSwaptionSmile 1.487
testSwaptionSmile 1.957
testSwaptionSmile 1.721
testSwaption 1.639
testSwaption 1.489
testSwaption 1.952
testSwaption 1.76
testDigitalCaplet 1.515
testDigitalCaplet 1.422
testDigitalCaplet 2.081
testDigitalCaplet 1.913
testLIBORInArrearsConvexity 1.523
testLIBORInArrearsConvexity 1.561
testLIBORInArrearsConvexity 1.939
testLIBORInArrearsConvexity 1.629
testCaplet 1.471
testCaplet 1.597
testCaplet 1.91
testCaplet 1.896
testCapletSmile 1.537
testCapletSmile 1.484
testCapletSmile 1.912
testCapletSmile 1.738
testSwaptionCalibration 0.31
testSwaptionCalibration 0.067
testSwaptionCalibration 0.055
testSwaptionCalibration 0.053

VarianceGammaTest

testCharacteristicFunction 1.64

Failure Details

[Summary] [Package List] [Test Cases]


testEuropeanAsianBermudanOption
skipped: skipped
testEuropeanAsianBermudanOption
skipped: skipped
testEuropeanAsianBermudanOption
skipped: skipped
testEuropeanAsianBermudanOption
skipped: skipped
testEuropeanAsianBermudanOption
skipped: skipped